The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heavy-tailedness and systematic effects in data. We tackle this modelling problem by studying a mixture composite regression model for simultaneous modeling of attritional and large claims, and for considering systematic effects in both the mixture components as well as the mixing probabilities. For model fitting, we present a group-fused regularization approach that allows us for selecting the explanatory variables which significantly impact the mixing probabilities and the different mixture components, respectively. We develop an asymptotic theory for this regularized estimation approach, and fitting is performed using a novel Generalized Expectation-Maximization algorithm. We exemplify our approach on real motor insurance data set.
翻译:本文件的目的是为索赔严重程度建模提供一个混合综合回归模型。索赔严重程度建模提出了多种挑战,如多式联运、重尾和数据系统效应。我们通过研究一种混合综合回归模型来解决这一建模问题,该模型用于同时模拟自然减员索赔和大型索赔,并用于考虑混合物成分的系统性影响以及混合概率。关于模型的安装,我们提出了一个分组套用正规化方法,使我们能够选择分别对混合概率和不同混合物成分产生重大影响的解释变量。我们为这种定期估算方法开发了一种零碎理论,并使用一种新型的通用预期-最大化算法进行安装。我们举例说明了我们对于真实的机动保险数据集采用的方法。